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Validating empirically identified risk factors
Pettengill, Glenn N.; Chang, George - In: Journal of economics and finance 43 (2019) 1, pp. 162-179
Persistent link: https://www.econbiz.de/10012171017
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A study on risk return relationship of it and pharmaceutical stocks listed in nseusing capital asset pricing model
Rekha, S.; Vasanth, V.; Sivakami, P. - In: International journal of applied business and economic … 17 (2019) 2, pp. 23-28
Persistent link: https://www.econbiz.de/10012495657
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What drives the value premium? : risk versus mispricing ; evidence from international markets
Chaves, Denis B.; Hsu, Jason C.; Kalesnik, Vitali; … - In: Journal of investment management : JOIM 11 (2013) 4, pp. 22-39
Persistent link: https://www.econbiz.de/10010357098
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An analysis of the relationship between risk and expected return in the BRVM stock exchange : test of the CAPM
Pamane, Kolani; Vikpossi, Anani Ekoue - In: Research in world economy 5 (2014) 1, pp. 13-28
Persistent link: https://www.econbiz.de/10010461988
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The term structure of systematic and idiosyncratic risk
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …
Persistent link: https://www.econbiz.de/10011751173
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Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio
Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23
definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk … portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …
Persistent link: https://www.econbiz.de/10011877322
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Beta dispersion and portfolio returns
Lahtinen, Kyre Dane; Lawrey, Chris M.; Hunsader, Kenneth J. - In: The journal of asset management 19 (2018) 3, pp. 156-161
Persistent link: https://www.econbiz.de/10011847744
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Properly estimating risk in emerging markets : a comparison of beta adjustment techniques
Katscher, Antonie; Mac Cawley, A. F.; Reyes, Tomas - In: Emerging markets, finance and trade : EMFT 56 (2020) 3, pp. 693-729
Persistent link: https://www.econbiz.de/10012211495
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CAPM verification using overnight and daytime returns
Kang, Dae Jin; Kim, Soo-hyun - In: Journal of derivatives and quantitative studies 28 (2020) 4, pp. 209-227
The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual … study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation … between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with …
Persistent link: https://www.econbiz.de/10012592728
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ß in the tails
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 227 (2022) 1, pp. 134-150
Persistent link: https://www.econbiz.de/10013441641